摘要
障碍期权是B-S期权定价模型结合特定约束条件的一种路径依赖期权。本文基于基础设施项目的政府担保期权特性辨析,给出政府提供的基础设施项目担保的价值是一种下降敲入看跌期权,提出了政府担保价值的定价模型及其计算公式,为政府对基础设施项目担保决策提供了理论依据。
A barrier option is a type of path-dependent options which is constructed by B-S model subject to specific constraint conditions, under the analysis of government guarantees＇ option characters in infrastructure projects, this paper puts forward that government guarantees is a type of down-and-in put option, gives the valuation model and it＇ s solution, provides theoretical basis for the decision-making of government guarantees to infrastructure projects.
出处
《预测》
CSSCI
2007年第2期76-80,共5页
Forecasting
基金
国家自然科学基金资助项目(70473072)
